Question: 27. Define U(t) := e-*W(e2t), where W(.) is a one-dimensional Brow- nian motion. Show that E(U(t) U(s)) = e-it-s) for all - co

27. Define U(t) := e-*W(e2t), where W(.) is a one-dimensional Brow-

nian motion. Show that E(U(t) U(s)) = e-it-s) for all - co

27. Define U(t) := e-*W(e2t), where W(.) is a one-dimensional Brow- nian motion. Show that E(U(t) U(s)) = e-it-s) for all - co

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